Dr Kob Liu

Lecturer

Mathematics

guo.liu@swansea.ac.uk

Office - 306
Third Floor
Computational Foundry
Bay Campus

Available For Postgraduate Supervision

Research Links

https://orcid.org/0000-0002-3072-0805

About

I am an actuary with research interests in stochastic optimal controls, lifecycle plannings, optimal dividend policies, point processes, and contagious financial markets.

I am planning to collaborate my current research topics with deep learning and machine learning.

I am also a member of The Actuaries Institute and CFA Institute.

Areas Of Expertise

Stochastic optimal controls
Lifecycle plannings
Optimal dividend policies
Point processes
Contagious financial markets

Publications

Research Highlights

Liu, K., Jin, Z., & Li, S. (2021). Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. Insurance: Mathematics and Economics, 101, 508-524.
https://doi.org/10.1016/j.insmatheco.2021.09.004, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62809
http://dx.doi.org/10.1016/j.insmatheco.2021.09.004
Liu, K., Liu, G., Jin, Z., Li, S., & Zhang, J. (2022). Stochastic asset allocation and reinsurance game under contagious claims. Finance Research Letters, 49, 103123
https://doi.org/10.1016/j.frl.2022.103123, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62810
http://dx.doi.org/10.1016/j.frl.2022.103123
Liu, K., Jin, Z., & Li, S. (2024). Optimal dividend policy with self-exciting claims in the Gamma–Omega model. Finance Research Letters, 69, 106162
https://doi.org/10.1016/j.frl.2024.106162, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa67782
Liu, K., Jin, Z., & Li, S. (2021). Household Lifetime Strategies under a Self-Contagious Market. European Journal of Operational Research, 288(3), 935-952.
https://doi.org/10.1016/j.ejor.2020.05.060, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62808
http://dx.doi.org/10.1016/j.ejor.2020.05.060
Jin, Z., Liu, K., & Yang, H. (2020). Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. European Journal of Operational Research, 280(3), 1130-1143.
https://doi.org/10.1016/j.ejor.2019.07.066, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62807
http://dx.doi.org/10.1016/j.ejor.2019.07.066

All Research

Journal Articles

Liu, K., Jin, Z., & Li, S. (2024). Optimal dividend policy with self-exciting claims in the Gamma–Omega model. Finance Research Letters, 69, 106162
https://doi.org/10.1016/j.frl.2024.106162, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa67782
Liu, K., Liu, G., Jin, Z., Li, S., & Zhang, J. (2022). Stochastic asset allocation and reinsurance game under contagious claims. Finance Research Letters, 49, 103123
https://doi.org/10.1016/j.frl.2022.103123, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62810
http://dx.doi.org/10.1016/j.frl.2022.103123
Liu, K., Jin, Z., & Li, S. (2021). Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. Insurance: Mathematics and Economics, 101, 508-524.
https://doi.org/10.1016/j.insmatheco.2021.09.004, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62809
http://dx.doi.org/10.1016/j.insmatheco.2021.09.004
Liu, K., Jin, Z., & Li, S. (2021). Household Lifetime Strategies under a Self-Contagious Market. European Journal of Operational Research, 288(3), 935-952.
https://doi.org/10.1016/j.ejor.2020.05.060, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62808
http://dx.doi.org/10.1016/j.ejor.2020.05.060
Jin, Z., Liu, K., & Yang, H. (2020). Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. European Journal of Operational Research, 280(3), 1130-1143.
https://doi.org/10.1016/j.ejor.2019.07.066, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62807
http://dx.doi.org/10.1016/j.ejor.2019.07.066

Taught Modules

MA-345 Cashflows and Interest Rates

This module will introduce students to sections 1, 2 and 3 of the Institute and Faculty of Actuaries CM1 syllabus. This module covers a detailed analysis of cashflows and interest rates with actuarial applications.
MA-346 Assurance and annuity

This module will introduce students to sections 4, 5 and 6 of the Institute and Faculty of Actuaries CM1 syllabus. This module covers the actuarial pricing structure of life assurance and annuity contracts, including a variety of payment and premium structures as well as two-life policies.
MA-D00 Mathematics Masters Dissertation

A research project selected from an area of expertise of a member of staff in the Department of Mathematics. It will enable the students to develop an enquiring, analytical critical and creative approach to problem identification and solution. The project will typically focus on a subject area related to one of the taught modules in the MSc scheme.
MA-D01 Actuarial Science Masters Dissertation

A research project selected from an area of Actuarial Science. It will enable the students to develop an enquiring, analytical critical and creative approach to problem identification and solution. The project will typically focus on a subject area related to one of the taught modules in the MSc scheme.
MA-D02 Applied Data Science Masters Dissertation

A research project selected from an area of Applied Data Science. It will enable the students to develop an enquiring, analytical critical and creative approach to problem identification and solution. The project will typically focus on a subject area related to one of the taught modules in the MSc scheme.
MA-M45 Cashflows and Interest Rates

This module covers a detailed analysis of cashflows and interest rates with actuarial applications. It covers material relating to sections 1, 2 and 3 of the Institute and Faculty of Actuaries CM1 syllabus.
MA-M46 Assurance and Annuity

This module covers the actuarial pricing structure of life assurance and annuity contracts, including a variety of payment and premium structures as well as two-life policies. It covers material related to sections 4, 5 and 6 of the Institute and Faculty of Actuaries CM1 syllabus.
MASM08 Mathematics and Computing for Finance Project

A research project selected from an area of expertise of a member of staff in the Department of Mathematics. It will enable the students to develop an enquiring, analytical critical and creative approach to problem identification and solution. The project will typically focus on a subject area covered within one of the taught modules in the MSc scheme.

Invited Presentations, Lectures and Conferences

Optimal dividend policy under a contagious insurance market until the bankruptcy

July 2022

Virtual
Optimal portfolio choice and dividend strategies under contagious financial markets

February 2022

Virtual
Household lifetime strategies under a self-contagious market

April 2020

Virtual
Asset allocation, consumption, and life insurance purchase with stochastic income in a self-contagious market

November 2019

Melbourne

Dr Kob Liu

Email address

Research Links

About

Areas Of Expertise

Publications

Research Highlights

All Research

Journal Articles

Taught Modules

MA-345 Cashflows and Interest Rates

MA-346 Assurance and annuity

MA-D00 Mathematics Masters Dissertation

MA-D01 Actuarial Science Masters Dissertation

MA-D02 Applied Data Science Masters Dissertation

MA-M45 Cashflows and Interest Rates

MA-M46 Assurance and Annuity

MASM08 Mathematics and Computing for Finance Project

Invited Presentations, Lectures and Conferences

Optimal dividend policy under a contagious insurance market until the bankruptcy

Optimal portfolio choice and dividend strategies under contagious financial markets

Household lifetime strategies under a self-contagious market

Asset allocation, consumption, and life insurance purchase with stochastic income in a self-contagious market